Saxon Investment Corporation : Aggressive Diversified Program

archived programs
Year-to-Date
N / A
Sep Performance
-0.72%
Min Investment
$ 2,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
36.96%
Sharpe (RFR=1%)
0.52
CAROR
14.64%
Assets
$ 30.0M
Worst DD
-65.86
S&P Correlation
-0.06

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Sep Qtr YTD 1yr 3yr 5yr 10yr Since
11/1993
Aggressive Diversified Program -0.72 -4.72 - -3.04 -24.56 -30.22 78.44 2,189.89
S&P 500 -0.12 3.31 - 12.93 28.94 91.62 62.29 360.34
+/- S&P 500 -0.60 -8.03 - -15.97 -53.51 -121.84 16.15 1,829.56

Strategy Description

Summary

Saxon currently offers two trading programs, the Diversified and Aggressive Diversified Programs, which trade the same diversified portfolio of commodity interests using the same trading strategies, but at different levels of capital utilization and risk. The Aggressive Diversified... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
300 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
22.00%
Energy
21.00%
Interest Rates
17.00%
Industrial Metals
13.00%
Grains
10.00%
Precious Metals
8.00%
Softs
7.00%
Stock Indices
2.00%
Composition Pie Chart

Summary

Saxon currently offers two trading programs, the Diversified and Aggressive Diversified Programs, which trade the same diversified portfolio of commodity interests using the same trading strategies, but at different levels of capital utilization and risk. The Aggressive Diversified Program commenced trading in November 1993. The programs differ with respect to a component of Saxon's money management strategy. This money management plan incorporates a fixed fractional strategy: the amount risked on any particular trade is a fixed percentage of the account's equity as adjusted for a) gross realized profits and losses to date and b) amounts already at risk. In the Aggressive Diversified Program, the percentage of equity risked on any particular trade is greater than in the Diversified Program, but generally not more than twice as great. Consequently, the Aggressive Diversified Program entails a significantly higher degree of risk than the Diversified Program. Specific Commodity Interests to be traded will be selected from time to time by Saxon. Examples of Commodity Interests currently traded include, but are not limited to, U.S. and foreign interest rates, foreign currencies, precious and industrial metals, grains and soybean products, energy products, coffee, sugar, cotton, and orange juice.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-65.86 11 42 4/1/1995 3/1/1996
-41.21 4 2 12/1/1993 4/1/1994
-32.46 65 - 4/1/2011 9/1/2016
-32.13 2 2 12/1/1994 2/1/1995
-30.84 18 8 3/1/2004 9/1/2005
-27.80 2 6 9/1/2002 11/1/2002
-22.92 6 2 10/1/2001 4/1/2002
-20.05 15 2 5/1/2006 8/1/2007
-11.67 1 1 7/1/1994 8/1/1994
-11.50 2 1 8/1/2000 10/1/2000
-11.12 5 2 12/1/2000 5/1/2001
-8.70 1 1 10/1/2003 11/1/2003
-7.66 3 8 6/1/2008 9/1/2008
-7.50 1 2 3/1/2000 4/1/2000
-5.91 1 4 4/1/2010 5/1/2010
-5.87 1 2 9/1/1999 10/1/1999
-3.69 1 3 5/1/2003 6/1/2003
-2.68 1 2 7/1/2001 8/1/2001
-2.00 2 2 11/1/2009 1/1/2010
-1.78 1 1 10/1/2010 11/1/2010
-0.56 1 1 5/1/2009 6/1/2009
-0.51 1 1 9/1/2009 10/1/2009
-0.26 1 1 12/1/1999 1/1/2000
-0.09 1 1 2/1/2011 3/1/2011
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
128.65 3 5/1/1994 7/1/1994
104.78 10 9/1/2007 6/1/2008
104.30 4 9/1/1994 12/1/1994
99.98 4 8/1/1996 11/1/1996
70.05 4 7/1/1998 10/1/1998
68.58 5 5/1/2002 9/1/2002
49.12 2 3/1/1995 4/1/1995
44.99 1 4/1/1996 4/1/1996
42.84 3 1/1/1997 3/1/1997
39.54 2 11/1/1993 12/1/1993
39.34 4 7/1/2003 10/1/2003
36.90 2 11/1/2000 12/1/2000
33.90 3 12/1/2002 2/1/2003
31.90 2 8/1/1999 9/1/1999
31.36 4 12/1/2003 3/1/2004
29.66 2 4/1/2003 5/1/2003
27.51 2 11/1/1995 12/1/1995
25.60 5 10/1/2005 2/1/2006
20.75 2 9/1/2001 10/1/2001
19.64 2 4/1/2006 5/1/2006
19.32 1 9/1/1997 9/1/1997
15.33 4 5/1/2000 8/1/2000
15.16 2 6/1/1997 7/1/1997
14.05 2 6/1/2001 7/1/2001
13.18 5 6/1/2010 10/1/2010
11.68 3 5/1/2007 7/1/2007
11.65 1 6/1/1996 6/1/1996
11.59 1 3/1/1994 3/1/1994
10.94 1 11/1/2004 11/1/2004
9.50 1 4/1/1999 4/1/1999
9.12 3 7/1/2009 9/1/2009
8.74 2 2/1/2000 3/1/2000
8.27 3 12/1/2010 2/1/2011
8.11 1 12/1/2001 12/1/2001
7.89 1 3/1/2002 3/1/2002
7.75 5 10/1/2008 2/1/2009
6.94 1 11/1/2006 11/1/2006
6.76 2 11/1/1999 12/1/1999
6.54 1 5/1/2005 5/1/2005
5.93 2 4/1/2009 5/1/2009
5.88 3 2/1/2010 4/1/2010
4.91 2 12/1/1997 1/1/1998
4.77 2 8/1/2004 9/1/2004
4.35 1 1/1/1999 1/1/1999
4.09 1 6/1/2016 6/1/2016
4.03 1 11/1/2009 11/1/2009
3.96 1 6/1/1999 6/1/1999
3.85 1 3/1/2005 3/1/2005
3.70 1 6/1/1995 6/1/1995
3.66 1 4/1/2011 4/1/2011
2.87 2 6/1/2013 7/1/2013
2.84 1 2/1/2007 2/1/2007
2.44 3 7/1/2012 9/1/2012
2.40 1 2/1/2014 2/1/2014
2.14 1 1/1/2013 1/1/2013
1.89 2 7/1/2011 8/1/2011
1.77 1 6/1/2014 6/1/2014
1.75 1 4/1/2016 4/1/2016
1.61 1 12/1/2013 12/1/2013
1.42 2 1/1/2016 2/1/2016
1.06 1 4/1/2015 4/1/2015
0.94 1 4/1/2014 4/1/2014
0.91 1 8/1/2014 8/1/2014
0.68 1 9/1/2006 9/1/2006
0.67 1 3/1/2013 3/1/2013
0.37 1 9/1/2015 9/1/2015
0.24 1 11/1/2014 11/1/2014
0.06 1 5/1/2004 5/1/2004
0.06 1 2/1/2012 2/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-53.34 4 7/1/1995 10/1/1995
-35.97 3 1/1/1996 3/1/1996
-35.83 2 1/1/1994 2/1/1994
-32.13 2 1/1/1995 2/1/1995
-30.54 1 5/1/1996 5/1/1996
-27.80 2 10/1/2002 11/1/2002
-23.15 1 8/1/1997 8/1/1997
-20.11 5 2/1/1998 6/1/1998
-19.98 2 10/1/1997 11/1/1997
-17.90 1 4/1/1994 4/1/1994
-17.53 1 12/1/1996 12/1/1996
-16.69 4 6/1/2005 9/1/2005
-16.15 1 5/1/1999 5/1/1999
-15.01 1 4/1/2002 4/1/2002
-14.75 2 4/1/1997 5/1/1997
-14.60 4 5/1/2015 8/1/2015
-14.06 2 12/1/2006 1/1/2007
-13.59 1 5/1/1995 5/1/1995
-12.46 2 1/1/2002 2/1/2002
-11.85 2 6/1/2004 7/1/2004
-11.67 1 8/1/1994 8/1/1994
-11.59 1 3/1/2003 3/1/2003
-11.50 2 9/1/2000 10/1/2000
-11.17 1 11/1/2001 11/1/2001
-11.12 5 1/1/2001 5/1/2001
-10.73 1 8/1/2007 8/1/2007
-10.36 1 4/1/2004 4/1/2004
-9.60 3 6/1/2006 8/1/2006
-9.55 1 4/1/2005 4/1/2005
-9.04 3 12/1/2004 2/1/2005
-8.70 1 11/1/2003 11/1/2003
-8.22 2 11/1/1998 12/1/1998
-7.66 3 7/1/2008 9/1/2008
-7.50 1 4/1/2000 4/1/2000
-7.13 3 7/1/2016 9/1/2016
-5.91 1 5/1/2010 5/1/2010
-5.87 1 10/1/1999 10/1/1999
-5.79 3 10/1/2012 12/1/2012
-5.43 4 12/1/2014 3/1/2015
-4.80 2 2/1/1999 3/1/1999
-4.32 4 8/1/2013 11/1/2013
-4.24 2 3/1/2007 4/1/2007
-3.92 1 7/1/2014 7/1/2014
-3.69 1 6/1/2003 6/1/2003
-3.29 1 2/1/2013 2/1/2013
-3.14 2 5/1/2011 6/1/2011
-2.83 3 10/1/2015 12/1/2015
-2.68 1 8/1/2001 8/1/2001
-2.66 1 10/1/2006 10/1/2006
-2.32 1 1/1/2014 1/1/2014
-2.30 1 5/1/2016 5/1/2016
-2.00 2 12/1/2009 1/1/2010
-1.93 5 9/1/2011 1/1/2012
-1.87 1 3/1/2014 3/1/2014
-1.78 1 11/1/2010 11/1/2010
-1.61 2 9/1/2014 10/1/2014
-1.59 2 4/1/2013 5/1/2013
-1.06 4 3/1/2012 6/1/2012
-0.92 1 7/1/1999 7/1/1999
-0.77 1 10/1/2004 10/1/2004
-0.75 1 3/1/2009 3/1/2009
-0.56 1 6/1/2009 6/1/2009
-0.54 1 3/1/2006 3/1/2006
-0.51 1 10/1/2009 10/1/2009
-0.39 1 7/1/1996 7/1/1996
-0.26 1 1/1/2000 1/1/2000
-0.21 1 3/1/2016 3/1/2016
-0.09 1 3/1/2011 3/1/2011
-0.04 1 5/1/2014 5/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods275.00273.00270.00264.00258.00252.00240.00228.00216.00
Percent Profitable53.0953.4858.5264.3971.7173.4179.1787.2891.20
Average Period Return1.694.9510.2120.6326.8734.8863.4692.29132.66
Average Gain7.9815.7724.5539.5143.5351.7884.49108.58147.32
Average Loss-5.62-7.55-10.01-13.52-15.33-11.77-16.45-19.53-19.31
Best Period47.13128.65181.56317.63242.63169.52245.18266.13385.13
Worst Period-34.45-50.93-58.19-63.35-61.15-36.18-42.08-31.20-31.07
Standard Deviation10.6719.5528.6443.8640.5940.8959.5173.2692.07
Gain Standard Deviation9.5319.7928.7743.3335.3734.3448.1363.5982.67
Loss Standard Deviation6.699.1310.5614.1512.817.8310.359.2610.73
Sharpe Ratio (1%)0.150.240.340.450.630.801.021.201.39
Average Gain / Average Loss1.422.092.452.922.844.405.145.567.63
Profit / Loss Ratio1.662.423.465.297.1912.1519.5238.1679.08
Downside Deviation (10%)6.068.5910.5213.9013.9912.1515.5615.3914.86
Downside Deviation (5%)5.918.149.5712.0611.228.1610.059.027.88
Downside Deviation (0%)5.888.039.3511.6410.607.278.857.686.51
Sortino Ratio (10%)0.210.430.741.121.382.033.064.607.07
Sortino Ratio (5%)0.270.581.011.632.264.036.019.7816.20
Sortino Ratio (0%)0.290.621.091.772.544.807.1712.0120.37

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 5 Year Rolling 8 169.22 2002 - 2007
Trend Following Strategy Index Month 9 7.84 12/2007
Systematic Trader Index Month 10 7.84 12/2007
Systematic Trader Index Month 8 9.06 11/2007
IASG CTA Index Month 9 9.06 11/2007
Trend Following Strategy Index Month 6 9.06 11/2007
Diversified Trader Index Month 6 9.06 11/2007
Diversified Trader Index Month 10 6.13 7/2007
Trend Following Strategy Index Month 10 6.13 7/2007
Trend Following Strategy Index Month 4 2.84 2/2007
Trend Following Strategy Index Month 10 3.79 5/2006
Trend Following Strategy Index Month 10 0.67 2/2006
Trend Following Strategy Index Month 9 7.53 12/2005
Systematic Trader Index Month 10 7.53 12/2005
IASG CTA Index 5 Year Rolling 3 247.11 1999 - 2004
IASG CTA Index 5 Year Rolling 1 312.15 1998 - 2003
IASG CTA Index Year Rolling 2 88.82 2002 - 2003
IASG CTA Index 3 Year Rolling 4 136.10 2000 - 2003
Systematic Trader Index Month 10 12.34 12/2003
Trend Following Strategy Index Month 10 12.34 12/2003
IASG CTA Index Month 4 21.16 10/2003
Trend Following Strategy Index Month 1 21.16 10/2003
Systematic Trader Index Month 2 21.16 10/2003
Diversified Trader Index Month 2 21.16 10/2003
Systematic Trader Index Month 2 12.04 9/2003
Trend Following Strategy Index Month 3 12.04 9/2003
Diversified Trader Index Month 3 12.04 9/2003
IASG CTA Index Month 5 12.04 9/2003
Systematic Trader Index Month 8 19.12 5/2003
Trend Following Strategy Index Month 8 19.12 5/2003
Diversified Trader Index Month 7 19.12 5/2003
IASG CTA Index Month 8 19.12 5/2003
IASG CTA Index Month 4 8.85 4/2003
Diversified Trader Index Month 4 8.85 4/2003
Systematic Trader Index Month 3 8.85 4/2003
Trend Following Strategy Index Month 3 8.85 4/2003
Trend Following Strategy Index Month 4 15.21 1/2003
Systematic Trader Index Month 5 15.21 1/2003
IASG CTA Index Month 6 15.21 1/2003
Diversified Trader Index Month 6 15.21 1/2003
IASG CTA Index 5 Year Rolling 3 175.70 1997 - 2002
Diversified Trader Index Month 6 12.61 9/2002
Trend Following Strategy Index Month 5 12.61 9/2002
IASG CTA Index Month 7 12.61 9/2002
Systematic Trader Index Month 6 12.61 9/2002
IASG CTA Index Month 9 16.58 6/2002
Trend Following Strategy Index Month 9 16.58 6/2002
Systematic Trader Index Month 9 16.58 6/2002
Diversified Trader Index Month 9 16.58 6/2002
IASG CTA Index Month 5 14.39 5/2002
Diversified Trader Index Month 4 14.39 5/2002
Trend Following Strategy Index Month 2 14.39 5/2002
Systematic Trader Index Month 2 14.39 5/2002
Trend Following Strategy Index Month 10 7.89 3/2002
IASG CTA Index 5 Year Rolling 8 168.77 1996 - 2001
Diversified Trader Index Month 2 8.11 12/2001
IASG CTA Index 3 Year Rolling 2 99.68 1998 - 2001
Trend Following Strategy Index Month 3 8.11 12/2001
Systematic Trader Index Month 3 8.11 12/2001
IASG CTA Index Month 4 8.11 12/2001
IASG CTA Index Month 4 19.21 10/2001
Systematic Trader Index Month 3 19.21 10/2001
Diversified Trader Index Month 3 19.21 10/2001
Trend Following Strategy Index Month 3 19.21 10/2001
Systematic Trader Index Month 3 8.71 7/2001
Trend Following Strategy Index Month 2 8.71 7/2001
Diversified Trader Index Month 2 8.71 7/2001
IASG CTA Index Month 4 8.71 7/2001
Trend Following Strategy Index Month 4 4.91 6/2001
Systematic Trader Index Month 5 4.91 6/2001
Diversified Trader Index Month 5 4.91 6/2001
IASG CTA Index Month 6 4.91 6/2001
IASG CTA Index 5 Year Rolling 5 177.90 1995 - 2000
IASG CTA Index 3 Year Rolling 3 120.50 1997 - 2000
IASG CTA Index Year Rolling 10 40.18 1999 - 2000
IASG CTA Index Month 4 16.46 11/2000
Diversified Trader Index Month 4 16.46 11/2000
Trend Following Strategy Index Month 4 16.46 11/2000
Systematic Trader Index Month 4 16.46 11/2000
Trend Following Strategy Index Month 4 1.67 7/2000
Diversified Trader Index Month 5 1.67 7/2000
Systematic Trader Index Month 6 1.67 7/2000
Trend Following Strategy Index Month 6 2.50 6/2000
Systematic Trader Index Month 9 2.50 6/2000
Trend Following Strategy Index Month 10 7.09 5/2000
Trend Following Strategy Index Month 10 0.68 3/2000
Systematic Trader Index Month 3 8.01 2/2000
IASG CTA Index Month 3 8.01 2/2000
Diversified Trader Index Month 2 8.01 2/2000
Trend Following Strategy Index Month 2 8.01 2/2000
IASG CTA Index Year Rolling 8 24.53 1998 - 1999
Trend Following Strategy Index Month 3 7.23 9/1999
Systematic Trader Index Month 3 7.23 9/1999
Diversified Trader Index Month 4 7.23 9/1999
IASG CTA Index Month 5 7.23 9/1999
IASG CTA Index Month 1 23.01 8/1999
Trend Following Strategy Index Month 1 23.01 8/1999
Systematic Trader Index Month 1 23.01 8/1999
Diversified Trader Index Month 1 23.01 8/1999
Trend Following Strategy Index Month 9 3.96 6/1999

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.